VIX Archives - Cboe Blogs

Volatility as an asset class
General Electric (GE) is recently up 9c to $27.37 after reporting Q1 operating EPS 31c, consensus 30c. April weekly call option implied volatility is at 21, May is at 16, June is at 17; compared to its 26-week average of 18.
Honeywell (HON) is recently down $2.48 to $101.51 after maintaining lower its revenue outlook on a cautious view of the global economy. May call option implied volatility is at 16, June is at 15, September is at 17; compared to its 26-week average[...]

There was some positive action this week, but in the end it's still a trading range market. $SPX moved to the high end of the range almost challenging the all-time highs, but it could not break out on the upside. There has been some improvement in the status of the other indicators, but unless $SPX can break out to the upside, it will not really matter.
Equity-only put-call ratios remain on buy signals, as their 21-day moving averages continue to drop nearly every day.
Market breadth[...]

Volatility as an asset class
Philip Morris (PM)) is recently up $5.91 to $84.05 on better than expected Q1 results and outlook. April call option implied volatility is at 23, May is at 84, June is at 13, September is at 14; compared to its 26-week average of 17.
Blackstone (BX) is recently up 81c to $41.84 on the asset manager reporting Q1 profit more than doubling. May and June call option implied volatility is at 18; compared to its 26-week average of 24.
BlackRock (BLK) is recently down $6.95[...]

Volatility as an asset class
Bank of America (BAC) is recently down 19c to $15.64 after reporting Q1 EPS with items 27c, compared to consensus 29c. April call option implied volatility is at 26, May and June is at 19; compared to its 26-week average of 24.
PNC Financial (PNC) is recently down 96c to $92.66 after reporting Q1 revenue fell 1.2%. April call option implied volatility is at 21, May is at 18, August is at 16; compared to its 26-week average of 19.
U.S. Bancorp (USB) is recently up[...]

Settlement Reminder:
Today, Tuesday, April 14th is the last trading day for April in the following: VIX, RVX, VXN, GVZ, OVX, VXEEM, VXEWZ, and VXTYN futures* and options.
These contracts settle tomorrow, Wednesday morning, April 15th.
PLEASE NOTE: VIX options with an expiration date of April 15th, 2015 will cease trading at 3:15 p.m. CDT today, Tuesday, April 14, 2015. These expiring options will NOT trade during the ETH session on Wednesday, April 15, 2015.
* This is in contrast to VIX futures[...]

Volatility as an asset class
JP Morgan (JPM) is recently up 43c to $62.13 into the expected release of Q1 results on April 14. April call option implied volatility is at 29, May is at 18, June and September is at 17; compared to its 26-week average of 20.
Wells Fargo (WFC) is recently up 28c to $54.60 in the expected release of Q1 results on April 14. April call option implied volatility is at 27, May is at 17, June is at 15; compared to its 26-week average of 17.
IShares Barclay 20+ YR Treasury[...]

The S&P 500 put up a nice week and VIX came under pressure closing Friday at the low for 2015. Take it how you want, either that there is nothing to worry about for the markets or there is too much complacency and we are ‘doomed’ (my favorite Charlie Brown word) to experience a pullback in 2015. Either way, if you are concerned about a market correction this year, there appears to be a sale on SPX options.
VIX option volume was well over 1,000,000 contracts with one big trade attributing[...]

Last week the S&P 500 was strong and volatility indexes were weak. I have been focusing on where the VXST – VIX – VXV – VXMT term structure curve has been in 2015 compared to the averages last year. For the first time in a while VXV dipped below the 2014 average with only 6 month SPX implied volatility still higher than the 2014 average so there may still be a little long term concern about the equity markets looming. Over the near term VXST under 10 and VIX back to the tweens[...]

The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets.
VIX Shifts to Neutral
With the jobs number behind us and earning season gearing up to take center stage, the VIX Index idles in neutral. Dipping below 13 on Friday, the VIX has been pretty-range bound since January. But even in calm states, VIX products can deliver returns for investors.
“Stocks &[...]

The stock market has traded in an ever-narrowing range for over a month now. The most recent range has been bounded by 2090 on the upside and 2050 on the downside. But now $SPX is trying to break through 2090. Even if that is accomplished, there is still considerable overhead resistance at 2110-2120 (the all-time highs).
Most of the other indicators have taken on a more positive slant in the last week or so. As a prime example, the equity-only put-call[...]

As investors and traders try to game the Fed and their next move, we find that a lack of clarity and vision about policy once again have players on edge. It's playing out like a game of 'chicken' and 'musical chairs' all at once, who wants to be left holding the bag when the exit doors are used, but who wants to be left out if the rallies continue? Further, it seems everyone wants to be first and fast, but rarely does the early bird get the worm. Trying to game the Fed's next move[...]

Volatility as an asset class
JPMorgan (JPM) is recently up 63c to $61.10 after being upgraded to Outperform from Market Perform at Bernstein. April call option implied volatility is at 23, May is at 18, June is at 17, September is at 18; compared to its 26-week average of 20.
Carnival (CCL) is recently up $1.38 to $49.14 after being upgraded to Outperform from Market Perform at Wells Fargo. April call option implied volatility is at 23, May is at 22, July is at 21; compared its 26-week average of[...]

Volatility as an asset class
Gang of four overall option implied volatility:
Amazon.com (AMZN) overall option implied volatility of 32 is compares to its 26-week average of 28.
Apple (AAPL) overall option implied volatility of 28 is compares to its 26-week average of 27.
Google (GOOG overall option implied volatility of 24 is compares to its 26-week average of 22.
Facebook (FB) overall option implied volatility of 31 is compares to its 26-week average of 32.
CBOE/CBOT 10-year U.S. Treasury Note Volatility[...]

Despite the solid start to the trading week on Monday of last week, Tuesday's and Wednesday's dips cast a shadow of doubt on stocks. Yes, the S&P 500 (SPX) (SPY) ended the holiday-shortened week with a small gain. But, once again the bulls have a big hurdle right in front of them they'll need to clear first before we can seriously entertain bullish ideas.
We'll analyze the current shape of things below, after painting the bigger picture with some broad economic data brushstrokes.
Economic[...]

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